Mary Jane West was born on August 17, 1893, in Kings County, New York (either Greenpoint or Bushwick, before New York City was consolidated in 1898). She was delivered at home by an aunt who was a midwife. She was the eldest surviving child of John Patrick West and Mathilde "Tillie" (later Matilda) Delker (originally Doelger; later Americanized to "Delker" or "Dilker"). Tillie and her five siblings emigrated with their parents, Jakob (1835–1902) and Christiana (1838–1901; née Brüning) Doelger from Bavaria in 1886. West's parents married on January 18, 1889, in Brooklyn, to the pleasure of the groom's parents and the displeasure of the bride's parents and raised their children as Protestants, although John West was of mixed Catholic–Protestant descent and Tillie was of at least partial Jewish descent.
West's father was a prizefighter known as "Battlin' Jack West" who later worked as a "special policeman" and later had his own private investigations agency. Her mother was a former corset and fashion model. Her paternal grandmother, Mary Jane (née Copley), for whom she was named, was of Irish Catholic descent and West's paternal grandfather, John Edwin West, was of English–Scots descent and a ship's rigger.
Mae's eldest sibling, Katie, died in infancy. Her other siblings were Mildred Katherine West, later known as Beverly (December 8, 1898 – March 12, 1982), and John Edwin West II (sometimes inaccurately called "John Edwin West, Jr."; February 11, 1900 – October 12, 1964). During her childhood, West's family moved to various parts of Woodhaven, as well as the Williamsburg and Greenpoint neighborhoods of Brooklyn. In Woodhaven, at Neir's Social Hall (which opened in 1829 and is still extant), West supposedly first performed professionally.